Forecasting Accurancy
Mostrando 1-1 de 1 artigos, teses e dissertações.
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1. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we p
Escola de Pós-Graduação em Economia da FGV. Publicado em: 27/01/2011